The Order Strategy of Informed Traders in an Order-driven Market

委託單趨動市場之資訊交易者的委託單策略

朱榕屏(Lon-Ping Zu) ； 王明昌(Ming-Chang Wang) ； 郭照榮(Chau-Jung Kuo)

《財務金融學刊》 16卷2期 (2008/06) Pp. 127-173

https://doi.org/10.6545/JFS.2008.16(2).5

摘要

本文提供了一個納許均衡模型，用來分析在一個電子限價單市場中，當風險趨避資訊交易者考慮了風險趨避的非資訊交易者之最佳報價下，他如何選擇最佳的市價單和限價單的組合。當市場會監督資訊交易者的市價單時，貝市場上可能存在部分的實質資訊之外溢效果，同時，資訊交易者的限價單則不存在資訊傳遞效果，但卻存在未執行的風險；因為此資訊交易者為了極大化他們的預期效果，可能會以多元的委託單組合方式來交易。為了易於暸解，我們將資訊交易委託單策略分成三種型式：完全的市價單投單、完全的限價投單和市價單與限價單組合的投單。我們主要的發現，乃是三種型式轉換的邊界值是與非資訊交易者所預期的資產價值、未成交風險及逆選擇風險有關，另外也與市場認知的市價單到達率有關。

關鍵字

委託單策略 ； 資訊交易者 ； 價格形成

並列摘要

This paper presents a Nash equilibrium model in which risk-averse informed traders select the optimal combination of market and limit orders whilst considering the optimal price quotation of risk-averse uninformed traders in an electronic limit-order market. There may be partial leakage of fundamental information from the market orders of informed traders monitored by the market, whilst the limit orders of informed traders without information delivery will also present non-execution risk; however, informed traders may trade through a variety of order combinations in order to maximize their expected utility. For comprehensibility, we classify the order strategy of informed traders into three regimes: the submission of complete market orders, the submission of complete limit orders, and a combination of the submission of market and limit orders. Our main finding is that the critical values of the boundary at which the regimes switch is dependent upon the reservation value, the non-execution risk, the adverse selection risk of uninformed traders and the market perceptions relating to the arrival rate of market orders.

並列關鍵字

Order strategy ； Informed traders ； Price formation

參考文獻

Working paper, University of California at Berkeley

Ahn, H.,K. Bae,K. Chan(2001).Limit orders, depth, and volatility: evidence from the Stock Exchange of Hong Kong.Journal of Finance.56,769-790.

Al-Suhaibani, M.,L. Kryzanowski(2000).An exploratory analysis of the order book, and order flow and execution on the Saudi Stock Market.Journal of Banking and Finance.24,1323-1357.

Dials, B.,P. Hillion,C. Spatt(1995).An empirical analysis of the limit order book and the order flow in the Paris Bourse.Journal of Finance.50,1655-1689.

Working paper, University of California at Los Angeles